Must I CE mark modules that will be built into an installation unit?

Yes, a module is considered as a radio equipment. This means that its should be CE marked and must undergo the same conformity assessment procedure as complete products. 

The module also needs a technical file in accordance with the Radio Equipment Directive. The documents in this file must give an insight to the design, manufacturing, risk assessment and operation of the module. This is necessary to assess the conformity of the module with the applicable health and safety requirements.